A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time

Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

(2014) Xiangyu Cui et al.   IEEE TRANSACTIONS ON AUTOMATIC CONTROL

A mean-field formulation for optimal multi-period mean–variance portfolio selection with an uncertain exit time

(2014) Lan Yi et al.   OPERATIONS RESEARCH LETTERS

Uncertain exit time multi-period mean–variance portfolio selection with endogenous liabilities and Markov jumps

(2013) Haixiang Yao et al.   AUTOMATICA

Optimal multi-period mean–variance policy under no-shorting constraint

(2013) Xiangyu Cui et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Multi-period portfolio selection for asset-liability management with uncertain investment horizon

(2011) Duan Li et al.   Journal of Industrial and Management Optimization

Dynamic mean–variance portfolio selection with borrowing constraint

(2009) Chenpeng Fu et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH